Risk management: comparison between traditional hedging models and deep hedging models
Scicchigno, Andrea (A.A. 2022/2023) Risk management: comparison between traditional hedging models and deep hedging models. Tesi di Laurea in Machine learning for finance, Luiss Guido Carli, relatore Giulia Livieri, pp. 44. [Master's Degree Thesis]
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Abstract/Index
Deep hedging. Framework. Pricing and hedging using convex risk measures. Exponential utility indifference pricing and entropic risk measure. Optimized certainty equivalents. Deep learning. Implementation. Results.
References
Bibliografia: p. 44.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Machine learning for finance |
| Thesis Supervisor: | Livieri, Giulia |
| Thesis Co-Supervisor: | Mazzoni, Giancarlo |
| Academic Year: | 2022/2023 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 09 Jul 2024 08:21 |
| Last Modified: | 09 Jul 2024 08:21 |
| URI: | https://tesi.luiss.it/id/eprint/39216 |
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